اولویت بندی واگذاری بنگاه¬های اقتصادی زیر مجموعه صندوق¬های بازنشستگی با تاکید بر مدیریت سرمایه¬گذاری: شواهدی جدید از رویکرد DCC-GARCH R2 decomposed connectedness

Prioritizing the Divestment of Pension Fund-Owned Enterprises with an Emphasis on Investment Management: New Evidence from the DCC GARCH R² Decomposed Connectedness Approach

Hasan Chenarani and Soheil Roudari

MPRA Paper from University Library of Munich, Germany

Abstract: In recent years, due to the resource deficits and financial imbalances of pension funds, the issue of structural reform and optimization of their investment portfolios has gained greater importance. Among the key solutions proposed is the divestment of underperforming enterprises to the private sector in line with Article 44 of the Constitution and within the framework of implementing the Seventh National Development Plan. The main challenge in this context lies in establishing a scientifically sound and efficient prioritization for such divestments. Accordingly, adopting modern portfolio management approaches—such as the DCC GARCH R² decomposed connectedness model recently introduced by Cocca et al. (2024)—can offer a more comprehensive perspective for decision making regarding whether to retain or divest these enterprises. Based on this approach, the optimal weight of each enterprise in the investment portfolio, the efficiency of risk hedging, the beta coefficient, and the Sharpe ratio should be evaluated under various portfolio management frameworks, including MVP, MCP, MCOP, MRP, and MPG. Ultimately, the model yielding the highest Sharpe ratio is selected as the optimal approach. In such a setting, it becomes feasible to prioritize enterprises for earlier or later divestment based on two key dimensions—return and risk. This priority setting aligns with the mandates of the Seventh National Development Plan; however, to date, this has not been examined using the aforementioned approaches, which could be of significant value to policymakers.

Keywords: Pension Fund; Investment Management; DCC GARCH R² Decomposed Connectedness Approach (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 G32 (search for similar items in EconPapers)
Date: 2025-08-07, Revised 2025-10-14
New Economics Papers: this item is included in nep-age
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